Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0098
Annualized Std Dev 0.2254
Annualized Sharpe (Rf=0%) 0.0434

Row

Daily Return Statistics

Close
Observations 5542.0000
NAs 1.0000
Minimum -0.1525
Quartile 1 -0.0052
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0061
Maximum 0.2074
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0142
Skewness -0.5743
Kurtosis 23.2405

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0105
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.7824
Historical VaR (95%) -0.0186
Historical ES (95%) -0.0346
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0188
From Trough To Depth Length To Trough Recovery
2007-04-27 2009-03-09 NA -0.7824 3500 470 NA
1999-02-02 2003-02-19 2006-11-10 -0.5842 1914 975 939
2006-12-05 2006-12-12 2007-02-06 -0.1393 42 6 36
2007-04-10 2007-04-10 2007-04-16 -0.0530 5 1 4
2007-02-26 2007-03-05 2007-03-19 -0.0518 16 6 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.2 1.9 -1.9 1.3 1.3 -0.6 -0.6 2 0 1.4 1.4 -4.5 2.7
2000 0 5.2 1.4 -1.4 3.1 0 1.5 2.9 -1.5 -0.7 2.4 0 13.4
2001 -0.6 -0.3 -1.2 -0.2 2.4 -1.5 -1.6 -0.8 3.2 0.6 1 0 0.8
2002 0.6 0.5 0.1 0.7 1 -1.9 4.3 0 -0.6 -1.2 -6.8 -0.7 -4.1
2003 0.7 0.9 -1.6 -1.7 0.8 -3.5 -0.4 -0.2 -1.1 -0.2 1.6 7.1 2.2
2004 -0.2 0.2 3.8 3.1 -0.2 4.5 0.5 0 -0.1 -1.5 0.5 0.3 11.2
2005 -1.3 0.7 0 1 0.3 -0.2 -1.2 1.1 -0.9 0.6 0.9 -0.1 0.9
2006 0 0.3 0.3 1.3 -0.2 0.8 -0.1 1 0.6 -0.6 -0.3 -0.1 2.9
2007 0.3 -0.9 0.2 -11 0.8 0.4 -4.9 0.1 0.5 -1.9 -1.1 1.3 -15.6
2008 1.2 -0.3 4.6 1 0.6 -1.5 -0.3 0.5 4.9 1.1 -5.5 3.6 10
2009 -2.4 -1.8 1.8 0 1.7 1.8 -0.2 -2.8 -2.3 -2 0.5 -0.9 -6.6
2010 -1.3 0.8 0 -0.8 -0.4 -1.4 0.7 1.6 1.1 -0.3 1.6 0.8 2.3
2011 1.1 -1 -0.5 0.3 -1.4 0.8 0.3 0.5 -1.1 -2.7 -1.4 2.3 -2.9
2012 1.2 0.3 0 0.8 -1.9 2.2 0.2 1.4 0.9 0.6 0.5 1.1 7.5
2013 0.4 0.3 0 0.1 -0.8 1.1 0.9 0 0.4 0.1 0.4 1.8 4.8
2014 -0.3 0.5 0.2 -0.1 -0.2 0.6 -0.1 0.6 -1.2 0.9 -0.2 0 0.6
2015 -0.8 0.3 -0.6 1.2 0.1 0.4 1.6 -2.7 -0.8 0.4 1.5 0.1 0.6
2016 0.3 3.4 0.9 -0.4 -0.4 0.9 -0.6 -0.2 1.1 -0.2 0 -0.3 4.4
2017 0.1 1.9 -0.1 0.4 0.8 0.5 0.5 0.3 0.2 -0.3 -0.2 0.4 4.7
2018 0.3 -1.4 1.3 0.3 0.7 0.6 0 -0.3 0.1 1 0.7 1.8 5.1
2019 0 0.6 1.3 0.3 -1 0.3 -0.7 0.5 -1.2 0.8 -0.4 0.4 0.7
2020 -2.1 -3 -5.2 -2.2 0 0 -0.2 0.3 0.3 -0.4 1.1 0.5 -10.6
2021 0.7 2.4 -0.2 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04 10    SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05 10.1  SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06 10    SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07 10    SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.94 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.88 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart